THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS (Q3022030): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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| Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank | |||
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Revision as of 12:46, 10 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS |
scientific article |
Statements
THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS (English)
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22 June 2005
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implied price processes
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Markov processes
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mean reverting volatility
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